Still of the Night(1982) [Gail Phillips]: Falls to her death at the end of a struggle with Roy Scheider.

The Gunrunner(1984) [Maude]: Shot repeatedly in the chest and stomach by a hitman, while Kevin Costner looks on helplessly. (Thanks to Big O)

The Fog(2005) [Kathy Williams]: Killed (off-screen) by the spirits in the fog; we only see her being pulled through the window into the fog while Maggie Grace and the others look on helplessly. (Thanks to Germboygel)